CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 12-Sep-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
09-Sep-2011 |
12-Sep-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0108 |
1.0028 |
-0.0080 |
-0.8% |
1.0138 |
| High |
1.0130 |
1.0083 |
-0.0047 |
-0.5% |
1.0170 |
| Low |
1.0019 |
0.9967 |
-0.0052 |
-0.5% |
1.0019 |
| Close |
1.0025 |
1.0027 |
0.0002 |
0.0% |
1.0025 |
| Range |
0.0111 |
0.0116 |
0.0005 |
4.5% |
0.0151 |
| ATR |
0.0100 |
0.0101 |
0.0001 |
1.2% |
0.0000 |
| Volume |
102,334 |
115,795 |
13,461 |
13.2% |
395,582 |
|
| Daily Pivots for day following 12-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0374 |
1.0316 |
1.0091 |
|
| R3 |
1.0258 |
1.0200 |
1.0059 |
|
| R2 |
1.0142 |
1.0142 |
1.0048 |
|
| R1 |
1.0084 |
1.0084 |
1.0038 |
1.0055 |
| PP |
1.0026 |
1.0026 |
1.0026 |
1.0011 |
| S1 |
0.9968 |
0.9968 |
1.0016 |
0.9939 |
| S2 |
0.9910 |
0.9910 |
1.0006 |
|
| S3 |
0.9794 |
0.9852 |
0.9995 |
|
| S4 |
0.9678 |
0.9736 |
0.9963 |
|
|
| Weekly Pivots for week ending 09-Sep-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0524 |
1.0426 |
1.0108 |
|
| R3 |
1.0373 |
1.0275 |
1.0067 |
|
| R2 |
1.0222 |
1.0222 |
1.0053 |
|
| R1 |
1.0124 |
1.0124 |
1.0039 |
1.0098 |
| PP |
1.0071 |
1.0071 |
1.0071 |
1.0058 |
| S1 |
0.9973 |
0.9973 |
1.0011 |
0.9947 |
| S2 |
0.9920 |
0.9920 |
0.9997 |
|
| S3 |
0.9769 |
0.9822 |
0.9983 |
|
| S4 |
0.9618 |
0.9671 |
0.9942 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0170 |
0.9967 |
0.0203 |
2.0% |
0.0101 |
1.0% |
30% |
False |
True |
102,275 |
| 10 |
1.0278 |
0.9967 |
0.0311 |
3.1% |
0.0093 |
0.9% |
19% |
False |
True |
87,140 |
| 20 |
1.0278 |
0.9967 |
0.0311 |
3.1% |
0.0094 |
0.9% |
19% |
False |
True |
84,894 |
| 40 |
1.0617 |
0.9967 |
0.0650 |
6.5% |
0.0107 |
1.1% |
9% |
False |
True |
96,142 |
| 60 |
1.0617 |
0.9967 |
0.0650 |
6.5% |
0.0103 |
1.0% |
9% |
False |
True |
90,422 |
| 80 |
1.0617 |
0.9967 |
0.0650 |
6.5% |
0.0100 |
1.0% |
9% |
False |
True |
75,737 |
| 100 |
1.0617 |
0.9967 |
0.0650 |
6.5% |
0.0098 |
1.0% |
9% |
False |
True |
60,665 |
| 120 |
1.0617 |
0.9967 |
0.0650 |
6.5% |
0.0092 |
0.9% |
9% |
False |
True |
50,576 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0576 |
|
2.618 |
1.0387 |
|
1.618 |
1.0271 |
|
1.000 |
1.0199 |
|
0.618 |
1.0155 |
|
HIGH |
1.0083 |
|
0.618 |
1.0039 |
|
0.500 |
1.0025 |
|
0.382 |
1.0011 |
|
LOW |
0.9967 |
|
0.618 |
0.9895 |
|
1.000 |
0.9851 |
|
1.618 |
0.9779 |
|
2.618 |
0.9663 |
|
4.250 |
0.9474 |
|
|
| Fisher Pivots for day following 12-Sep-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0026 |
1.0069 |
| PP |
1.0026 |
1.0055 |
| S1 |
1.0025 |
1.0041 |
|